bkamins / StochasticSimulation

Materials for doing stochastic simulations with Julia

StochasticSimulation

Materials for doing stochastic simulations with Julia

Bogumił Kamiński, 2024

Setting up your environment

The code was tested under Julia 1.10.1.

1. Download the repository to your local folder.
2. In this forlder start Julia with the julia --project command.
3. Run ] instantiate command to set up your project environment (it needs to be done only once; pressing ] switches you to package manager mode)
4. Then press to go back to command mode.
5. Run using IJulia
6. Run notebook(dir=pwd()).

After running these commands Jupyter Notebook will start where you can run five notebooks:

1. Part_1.ipynb: introduction to random number generation in Julia
2. Part_2.ipynb: simulation of AR(1) process
3. Part_3.ipynb: a simple agent simulation
4. Part_4.ipynb: pricing financial options using Monte Carlo simulation
5. Part_5.ipynb: reproduction of an example simulation model from a paper on volatility clustering on financial markets